Title page for ETD etd-07222005-123437


Document Type Master's Dissertation
Author Magwegwe, Frank Mashoko
URN etd-07222005-123437
Document Title Modelling default-risky bonds
Degree MSc (Mathematics of Finance)
Department Mathematics and Applied Mathematics
Supervisor
Advisor Name Title
Prof B Swart
Keywords
  • Risk assessment computer simulation
Date 2003-04-01
Availability unrestricted
Abstract
In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed.
Files
  Filename       Size       Approximate Download Time (Hours:Minutes:Seconds) 
 
 28.8 Modem   56K Modem   ISDN (64 Kb)   ISDN (128 Kb)   Higher-speed Access 
  00front.pdf 752.35 Kb 00:03:28 00:01:47 00:01:34 00:00:47 00:00:04
  01chapter1.pdf 814.20 Kb 00:03:46 00:01:56 00:01:41 00:00:50 00:00:04
  02chapter2.pdf 797.82 Kb 00:03:41 00:01:53 00:01:39 00:00:49 00:00:04
  03chapter3.pdf 1.08 Mb 00:04:59 00:02:33 00:02:14 00:01:07 00:00:05
  04chapter4.pdf 1.45 Mb 00:06:42 00:03:27 00:03:01 00:01:30 00:00:07
  05chapter5.pdf 1.21 Mb 00:05:36 00:02:52 00:02:31 00:01:15 00:00:06
  06chapters6-7.pdf 1.11 Mb 00:05:07 00:02:38 00:02:18 00:01:09 00:00:05
  07back.pdf 915.23 Kb 00:04:14 00:02:10 00:01:54 00:00:57 00:00:04

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